基于VAR模型的社会融资规模与货币政策传导研究  

Research on the Scale of Social Finance and Monetary Policy Transmission Based on VAR Model

作　　者：龙薇[1] 蒋丽平[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《山西财经大学学报》2015年第9期41-52,共12页Journal of Shanxi University of Finance and Economics

基　　金：教育部回国留学人员科研项目"构建逆周期的金融宏观审慎管理制度框架研究"(2011185)

摘　　要：在理论分析基础上选取相关变量2009～2014年的月度数据建立VAR模型,分析得出,社会融资规模能够较好地传导货币政策意图。首先,社会融资规模与基础货币和M2同向变化,与同业拆借利率反向变化,拆借利率对社会融资规模的影响更明显,而基础货币对其起作用需要更长时间。其次,社会融资规模的适度增长能够促进投资,进而推动经济增长。社会融资规模对通胀率的影响也是正向的,但通胀率的85%以上由自身值决定。最后针对分析结果提出相关政策建议。Selecting variables based on theoretical analysis, using their data from 2009 to 2014 to set up a VAR model. We get that the scale of social finance can transmit monetary policy intentions better. Firstly, the scale of social finance changes with base currency and M2 in the same direction, but moves oppositely to inter-bank lending interest rate. Inter-bank lending interest rate impacts scale of social finance more quickly, and base currency needs more time to affect scale of social finance. Secondly, a increase in scale of social finance will stimulate investment, thereby promoting economic growth and consumption growth. Scale of social finance affects inflation positively, but inflation is decided by its previous value in 85%. Lastly, we put forward some policy recommendations.

关 键 词：货币政策传导 社会融资规模 VAR模型 脉冲响应分析 方差分解 

分 类 号：F832[经济管理—金融学]